NPORT-P false 0001091439 XXXXXXXX S000047272 C000148201 Allianz Variable Insurance Products Trust 811-09491 0001091439 549300446YVO0C3VKW34 5701 Golden Hills Drive Minneapolis 55416 800-624-0197 AZL MetWest Total Return Bond Fund S000047272 549300Q2KOVDQY5N1185 2021-12-31 2021-06-30 N 415174346.99 114743297.43 300431049.56 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 430000.00000000 EUR USD N Government National Mortgage Association 2 N/A 36179R4E6 387734.83300000 PA USD 412544.59000000 0.137317561085 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJYM6 498180.33000000 PA USD 522968.26000000 0.174072640216 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N BALL CORPORATION 0BGI85ALH27ZJP15DY16 058498AS5 200000.00000000 PA USD 212000.00000000 0.070565276229 Long DBT CORP US N 2 2023-11-15 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140QBBB3 1121631.16000000 PA USD 1210868.29000000 0.403043657362 Long ABS-MBS USGSE US N 2 2049-06-01 Fixed 3.50000000 N N N N N N HCA INC. L3CJ6J7LJ2DX62FTXD46 404119BX6 640000.00000000 PA USD 720800.00000000 0.239921939178 Long DBT CORP US N 2 2029-06-15 Fixed 4.12500000 N N N N N N ORGANON & CO. 549300AMCKY57OK2CO56 68622TAA9 100000.00000000 PA USD 102000.00000000 0.033951217808 Long DBT CORP US Y 2 2028-04-30 Fixed 4.12500000 N N N N N N GENERAL ELECTRIC COMPANY 3C7474T6CDKPR9K6YT90 36962GXZ2 190000.00000000 PA USD 263414.86000000 0.087678973390 Long DBT CORP US N 2 2032-03-15 Fixed 6.75000000 N N N N N N TRANSOCEAN POSEIDON LIMITED N/A 89383JAA6 121000.00000000 PA USD 121000.00000000 0.040275464262 Long DBT CORP KY Y 2 2027-02-01 Fixed 6.87500000 N N N N N N CWALT, INC (COUNTRYWIDE ALTERNATIVE LOAN TRUST) N/A 12668AHA6 1148340.43700000 PA USD 1084442.76000000 0.360962277896 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.71150000 N N N N N N GFL ENVIRONMENTAL INC. 549300FYK4MBXWIVZU26 36168QAF1 178000.00000000 PA USD 187790.00000000 0.062506854825 Long DBT CORP CA Y 2 2026-12-15 Fixed 5.12500000 N N N N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VGJ7 445000.00000000 PA USD 454073.55000000 0.151140686245 Long DBT CORP US N 2 2031-03-21 Fixed 2.55000000 N N N N N N BERRY GLOBAL, INC. 549300AP2Q7ERHX6RI89 08576PAB7 500000.00000000 PA USD 498125.00000000 0.165803435007 Long DBT CORP US Y 2 2026-01-15 Fixed 1.57000000 N N N N N N BERRY GLOBAL, INC. 549300AP2Q7ERHX6RI89 085770AA3 90000.00000000 PA USD 95062.50000000 0.031642035714 Long DBT CORP US Y 2 2026-07-15 Fixed 4.87500000 N N N N N N REPUBLIC OF SOUTH AFRICA 378900AAFB4F17004C49 836205BA1 200000.00000000 PA USD 212000.40000000 0.070565409371 Long DBT NUSS ZA N 2 2029-09-30 Fixed 4.85000000 N N N N N N KINDER MORGAN ENERGY PARTNERS, L.P. 549300PDHUGWPWGOT525 494550AT3 400000.00000000 PA USD 511770.40000000 0.170345375669 Long DBT CORP US N 2 2035-03-15 Fixed 5.80000000 N N N N N N MOLINA HEALTHCARE, INC. 549300NQQCEQ46YHZ591 60855RAG5 170000.00000000 PA USD 177862.50000000 0.059202436053 Long DBT CORP US N 2 2022-11-15 Fixed 5.37500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F022683 19000000.00000000 PA USD 19622695.36000000 6.531513766216 Long ABS-MBS USGSE US N 2 2051-08-25 Fixed 2.50000000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46647PBK1 145000.00000000 PA USD 149945.81000000 0.049910224066 Long DBT CORP US N 2 2026-04-22 Fixed 2.08300000 N N N N N N BX TRUST N/A 05606FAA1 155000.00000000 PA USD 167206.25000000 0.055655449143 Long ABS-MBS CORP US Y 2 2041-12-09 Fixed 3.20200000 N N N N N N STRUCTURED ASSET MORTGAGE INVESTORS N/A 86359LTG4 1277593.21000000 PA USD 1221429.32000000 0.406558949811 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.55150000 N N N N N N MERRILL LYNCH FIRST FRANKLIN MORTGAGE LOAN TRUST N/A 59025CAC4 750697.30500000 PA USD 483052.02000000 0.160786317095 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.21150000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GJZ3 760000.00000000 PA USD 766778.44000000 0.255226096344 Long DBT CORP US N 2 2029-06-14 Fixed 2.08700000 N N N N N N SPRINT SPECTRUM CO LLC N/A 85208NAD2 1153125.00000000 PA USD 1229735.38000000 0.409323664049 Long DBT CORP US Y 2 2025-03-20 Fixed 4.73800000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418AR26 727310.83120000 PA USD 781955.21000000 0.260277761285 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.50000000 N N N N N N WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES N/A 92922FJ25 450131.18000000 PA USD 443161.67000000 0.147508611592 Long ABS-MBS CORP US N 2 2045-04-25 Floating 0.55150000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335AAY4 1602833.22000000 PA USD 1737204.32000000 0.578237276920 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140Q83V5 61432.92000000 PA USD 66657.06000000 0.022187140809 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N ROCKIES EXPRESS PIPELINE LLC W2ZGZGZKY5GGNY6F3V51 77340RAT4 250000.00000000 PA USD 250625.00000000 0.083421803560 Long DBT CORP US Y 2 2030-05-15 Fixed 4.80000000 N N N N N N ARTERA SERVICES, LLC 549300J2G34D0WX8Z443 73939VAA2 82000.00000000 PA USD 90200.00000000 0.030023527905 Long DBT CORP US Y 2 2025-12-04 Fixed 9.03300000 N N N N N N Kraft Heinz Foods Company 5493003STKEZ2S0RNU91 50077LAZ9 790000.00000000 PA USD 954095.64000000 0.317575577290 Long DBT CORP US N 2 2049-10-01 Fixed 4.87500000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBG6 278000.00000000 PA USD 344445.34000000 0.114650380013 Long DBT CORP US N 2 2050-03-19 Fixed 4.32700000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZG1 150000.00000000 PA USD 149703.30000000 0.049829503381 Long DBT CORP US N 2 2021-10-12 Floating 1.06775000 N N N N N N United States of America 254900HROIFWPRGM1V77 912796C64 1410000.00000000 PA USD 1409945.17000000 0.469307407494 Long DBT UST US N 2 2021-08-05 None 0.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJZF0 914344.39000000 PA USD 959840.79000000 0.319487879633 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N TRANSOCEAN PHOENIX 2 LIMITED N/A 893828AA1 53350.00000000 PA USD 54950.50000000 0.018290552884 Long DBT CORP KY Y 2 2024-10-15 Fixed 7.75000000 N N N N N N AIMCO CLO N/A 00900LAG9 592720.65000000 PA USD 592749.69000000 0.197299743441 Long ABS-MBS CORP US Y 2 2028-01-15 Floating 1.03375000 N N N N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YAR0 293000.00000000 PA USD 353222.63000000 0.117571945548 Long DBT CORP US N 2 2035-05-14 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ4T4 158798.83000000 PA USD 173797.05000000 0.057849230382 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 5.00000000 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAR2 140000.00000000 PA USD 147525.00000000 0.049104445168 Long DBT CORP US N 2 2027-12-15 Fixed 4.25000000 N N N N N N CWABS ASSET-BACKED CERTIFICATES TRUST N/A 1266732L5 1288000.00000000 PA USD 1280517.75000000 0.426226833702 Long ABS-MBS CORP US N 2 2035-11-25 Floating 1.21650000 N N N N N N Government National Mortgage Association 2 N/A 36179T7L3 878307.38000000 PA USD 941850.64000000 0.313499766878 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.50000000 N N N N N N LUMEN TECHNOLOGIES, INC. 8M3THTGWLTYZVE6BBY25 156700BC9 64000.00000000 PA USD 65280.00000000 0.021728779397 Long DBT CORP US Y 2 2027-02-15 Fixed 4.00000000 N N N N N N Government National Mortgage Association 2 N/A 21H020683 2925000.00000000 PA USD 2975730.47000000 0.990486993391 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJYN4 585920.06000000 PA USD 623879.64000000 0.207661505331 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XCR49 2033271.53000000 PA USD 2214162.04000000 0.736995075323 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST N/A 32051GQ81 519270.24700000 PA USD 401089.76000000 0.133504762769 Long ABS-MBS CORP US N 2 2036-02-25 Variable 2.38980000 N N N N N N PILGRIM'S PRIDE CORPORATION 549300ZSLGV64ZL3HD75 72147KAE8 25000.00000000 PA USD 26625.00000000 0.008862266413 Long DBT CORP US Y 2 2027-09-30 Fixed 5.87500000 N N N N N N JBS USA Lux S.A. P77IMDGVZE8EFBTF2M92 46590XAC0 130000.00000000 PA USD 132112.50000000 0.043974316301 Long DBT CORP LU Y 2 2031-12-01 Fixed 3.75000000 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AR2 340000.00000000 PA USD 383649.54000000 0.127699697005 Long DBT CORP GG N 2 2026-04-17 Fixed 4.55000000 N N N N N N LCM LIMITED PARTNERSHIP N/A 50184KBE7 820000.00000000 PA USD 820018.03000000 0.272947164149 Long ABS-MBS CORP US Y 2 2027-07-19 Floating 1.32975000 N N N N N N GREENPOINT MORTGAGE FUNDING TRUST N/A 39538WFH6 1024051.59000000 PA USD 1017852.49000000 0.338797368477 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.67150000 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST N/A 32051GV28 606219.76600000 PA USD 472945.95000000 0.157422460392 Long ABS-MBS CORP US N 2 2036-03-25 Variable 2.37600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XCR72 537912.36000000 PA USD 576183.32000000 0.191785543086 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N Gobierno de la Republica Dominicana 254900EHU7Q8FGVPI369 25714PED6 200000.00000000 PA USD 203750.00000000 0.067819221847 Long DBT NUSS DO Y 2 2030-01-30 Fixed 4.50000000 N N N N N N GOBIERNO DE LA REPUBLICA DE PANAMA 549300SHS4T08CL0LP14 698299BK9 200000.00000000 PA USD 209500.00000000 0.069733138537 Long DBT NUSS PA N 2 2030-01-23 Fixed 3.16000000 N N N N N N Reynolds American Inc. 02S2RPPVO9RP4NEU2740 761713BB1 610000.00000000 PA USD 747606.24000000 0.248844532246 Long DBT CORP US N 2 2045-08-15 Fixed 5.85000000 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAW1 569000.00000000 PA USD 582513.75000000 0.193892658849 Long DBT CORP US N 2 2030-10-15 Fixed 3.00000000 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAD3 30000.00000000 PA USD 32962.50000000 0.010971735460 Long DBT CORP KY Y 2 2024-05-15 Fixed 5.25000000 N N N N N N AMERICAN TRANSMISSION SYSTEMS, INCORPORATED N/A 030288AB0 280000.00000000 PA USD 358774.92000000 0.119420053461 Long DBT CORP US Y 2 2044-09-01 Fixed 5.00000000 N N N N N N AMERICAN HOME MORTGAGE INVESTMENT TRUST N/A 02660TDH3 546316.39000000 PA USD 547236.64000000 0.182150493699 Long ABS-MBS CORP US N 2 2045-06-25 Variable 2.16088000 N N N N N N Government National Mortgage Association 2 N/A 36179R7J2 405794.99940000 PA USD 431760.66000000 0.143713727536 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 3.50000000 N N N N N N VODAFONE GROUP PUBLIC LIMITED COMPANY 213800TB53ELEUKM7Q61 92857WBS8 813000.00000000 PA USD 1024327.16000000 0.340952495256 Long DBT CORP GB N 2 2049-06-19 Fixed 4.87500000 N N N N N N MORGAN STANLEY RESECURITIZATION TRUST N/A 61764KAJ2 160855.10800000 PA USD 159053.74000000 0.052941844803 Long ABS-MBS CORP US Y 2 2047-06-26 Floating 0.85833000 N N N N N N Government National Mortgage Association 2 N/A 36179TUB9 433850.57000000 PA USD 462330.07000000 0.153888910842 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138WLCJ0 210072.66000000 PA USD 223986.33000000 0.074554987018 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N Duke Energy Progress, LLC 0NIFZ782LS46WOC9QK20 26442RAD3 1000000.00000000 PA USD 1207129.00000000 0.401799015703 Long DBT CORP US N 2 2044-12-01 Fixed 4.15000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140Q8DA0 1003003.61000000 PA USD 1086682.22000000 0.361707693526 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F020687 20675000.00000000 PA USD 20859136.72000000 6.943069549751 Long ABS-MBS USGSE US N 2 2051-08-25 Fixed 2.00000000 N N N N N N CASH N/A 09248U700 514008.03000000 NS USD 514008.03000000 0.171090182174 Long STIV RF US N 1 N N JBS USA Lux S.A. P77IMDGVZE8EFBTF2M92 46590XAB2 30000.00000000 PA USD 33300.00000000 0.011084074049 Long DBT CORP LU Y 2 2030-01-15 Fixed 5.50000000 N N N N N N INTELSAT JACKSON HOLDINGS S.A. 8XJ8KF85PBKK1TLMFN29 45824TBA2 111000.00000000 PA USD 65490.00000000 0.021798678963 Long DBT CORP LU Y 2 2024-10-15 Fixed 8.50000000 Y N N N N N MACQUARIE GROUP LIMITED ACMHD8HWFMFUIQQ8Y590 55607PAF2 455000.00000000 PA USD 452624.45000000 0.150658345954 Long DBT CORP AU Y 2 2027-09-23 Fixed 1.62900000 N N N N N N GLP Capital, L.P. 2549005PXW31DRW8EC44 361841AL3 290000.00000000 PA USD 338342.71000000 0.112619088637 Long DBT CORP US N 2 2029-01-15 Fixed 5.30000000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46647PCB0 445000.00000000 PA USD 446063.55000000 0.148474517082 Long DBT CORP US N 2 2027-04-22 Fixed 1.57800000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61772BAB9 445000.00000000 PA USD 446622.47000000 0.148660556441 Long DBT CORP US N 2 2027-05-04 Fixed 1.59300000 N N N N N N FARMERS INSURANCE EXCHANGE 549300UWG2TLX1GZVT44 309601AE2 670000.00000000 PA USD 760109.64000000 0.253006352410 Long DBT CORP US Y 2 2057-11-01 Fixed 4.74700000 N N N N N N City of New York 549300ABYZD2SFD5JB29 64966QCL2 420000.00000000 PA USD 441529.20000000 0.146965235666 Long DBT MUN US N 2 2034-08-01 Fixed 3.00000000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAN3 410000.00000000 PA USD 487200.54000000 0.162167173038 Long DBT CORP US Y 2 2038-06-25 Fixed 4.62500000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 00206RCP5 290000.00000000 PA USD 339601.02000000 0.113037923509 Long DBT CORP US N 2 2035-05-15 Fixed 4.50000000 N N N N N N AJAX MORTGAGE LOAN TRUST N/A 00969PAA1 1044566.42000000 PA USD 1054549.13000000 0.351012031394 Long ABS-MBS CORP US Y 2 2059-07-25 Fixed 2.86000000 N N N N N N Nationwide Building Society 549300XFX12G42QIKN82 63861VAD9 230000.00000000 PA USD 235747.01000000 0.078469589060 Long DBT CORP GB Y 2 2023-04-26 Fixed 3.62200000 N N N N N N BSPRT ISSUER, LTD. N/A 05585JAC4 772000.00000000 PA USD 771773.79000000 0.256888823951 Long ABS-MBS CORP US Y 2 2028-03-15 Floating 1.42288000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B1Z72 504005.61000000 PA USD 520637.70000000 0.173296901489 Long ABS-MBS USGSE US N 2 2048-06-25 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31417AWY1 507512.10280000 PA USD 543526.99000000 0.180915717864 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 3.50000000 N N N N N N AGL CLO LTD N/A 008511AN7 750000.00000000 PA USD 750000.00000000 0.249641307414 Long ABS-MBS CORP US Y 2 2034-07-15 None 0.00000000 N N N N N N WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES N/A 939336Z48 380007.24000000 PA USD 374158.93000000 0.124540699287 Long ABS-MBS CORP US N 2 2035-03-25 Variable 2.72454000 N N N N N N ENDEAVOR ENERGY RESOURCES, L.P. 549300WY5QI80P9WHD46 29260FAE0 35000.00000000 PA USD 37187.50000000 0.012378048159 Long DBT CORP US Y 2 2028-01-30 Fixed 5.75000000 N N N N N N Government National Mortgage Association 2 N/A 21H022689 4025000.00000000 PA USD 4159271.50000000 1.384434633534 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 2.50000000 N N N N N N IHS MARKIT LTD. 549300HLPTRASHS0E726 44962LAB3 125000.00000000 PA USD 139843.75000000 0.046547702111 Long DBT CORP BM Y 2 2025-02-15 Fixed 4.75000000 N N N N N N SBA Communications Corporation 5299001HX8ZN8Y8QIT49 78388JAV8 112000.00000000 PA USD 113960.00000000 0.037932164523 Long DBT CORP US N 2 2024-09-01 Fixed 4.87500000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QDF6 85000.00000000 PA USD 75592.54000000 0.025161360688 Long DBT CORP MX N 2 2060-01-28 Fixed 6.95000000 N N N N N N United States of America 254900HROIFWPRGM1V77 91282CCJ8 9825000.00000000 PA USD 9825000.00000000 3.270301127126 Long DBT UST US N 2 2026-06-30 Fixed 0.87500000 N N N N N N AerCap Ireland Capital Designated Activity Company 549300TI38531ODB1G63 00772BAR2 555000.00000000 PA USD 564032.07000000 0.187740937837 Long DBT CORP IE N 2 2022-02-01 Fixed 3.95000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335ALZ9 1249410.99000000 PA USD 1377071.71000000 0.458365309450 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.00000000 N N N N N N PARK AEROSPACE HOLDINGS LIMITED 635400CPI3EOIFF6OC33 70014LAC4 285000.00000000 PA USD 298893.75000000 0.099488302037 Long DBT CORP KY Y 2 2023-03-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179TNR2 1360737.21000000 PA USD 1438312.19000000 0.478749514108 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 3.50000000 N N N N N N SLM STUDENT LOAN TRUST N/A 78445JAA5 316713.72000000 PA USD 319444.43000000 0.106328700201 Long ABS-MBS CORP US N 2 2023-04-25 Floating 1.67575000 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 37045XAW6 60000.00000000 PA USD 61125.06000000 0.020345786525 Long DBT CORP US N 2 2022-04-10 Fixed 3.45000000 N N N N N N BACARDI LIMITED 549300R32WTQNHNN5055 067316AH2 105000.00000000 PA USD 136068.98000000 0.045291250754 Long DBT CORP BM Y 2 2048-05-15 Fixed 5.30000000 N N N N N N MAGIC MERGECO, INC. N/A 55916AAA2 290000.00000000 PA USD 297612.50000000 0.099061831470 Long DBT CORP US Y 2 2028-05-01 Fixed 5.25000000 N N N N N N US Airways Pass Through Trusts N/A 90345KAA8 496171.32500000 PA USD 508575.61000000 0.169281973599 Long DBT CORP US N 2 2024-10-22 Fixed 6.25000000 N N N N N N Government National Mortgage Association 2 N/A 36179TG74 211514.34000000 PA USD 232831.32000000 0.077499086842 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 5.00000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QDE9 175000.00000000 PA USD 170143.23000000 0.056633037846 Long DBT CORP MX N 2 2031-01-28 Fixed 5.95000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AT5 185000.00000000 PA USD 180613.10000000 0.060117987226 Long DBT CORP CH Y 2 2027-02-02 Fixed 1.30500000 N N N N N N 3YR30YR IRS SWAPTION P 2.75 N/A N/A 1220000.00000000 OU Notional USD 41195.00000000 0.013711964878 N/A DIR US N 2 GOLDMAN SACHS 784F5XWPLTWKTBV3E584 Put Purchased GOLDMAN SACHS 784F5XWPLTWKTBV3E584 3YR30YR IRS SWAPTION P 2.75 N/A 000000000 0.00000000 OU USD 0.00000000 0.00000000 DIR 3Y30Y SWAPTION 2.75 (GS) 2.75% 01/19/2024 3Y30Y SWAPTION 2.75 (GS) 2.75% 01/19/2024 2024-01-19 0.00000000 USD 0.00000000 USD 0.00000000 USD 1220000.00000000 2.75000000 USD 2024-01-19 XXXX 5205.00000000 N N N C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES N/A 1248MBAL9 829438.91010000 PA USD 654183.73000000 0.217748375528 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 3.72261000 N N N N N N USA COMPRESSION PARTNERS, LP N/A 91740PAC2 25000.00000000 PA USD 26187.50000000 0.008716642317 Long DBT CORP US N 2 2026-04-01 Fixed 6.87500000 N N N N N N GMACM MORTGAGE LOAN TRUST N/A 76112BYB0 438336.20200000 PA USD 442247.18000000 0.147204218953 Long ABS-MBS CORP US N 2 2035-09-19 Variable 3.55703000 N N N N N N TRANSOCEAN PROTEUS LIMITED 5493000CTMQ2LH21VM89 893829AA9 37950.00000000 PA USD 38234.63000000 0.012726590695 Long DBT CORP KY Y 2 2024-12-01 Fixed 6.25000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140JQTM5 839665.21000000 PA USD 893530.54000000 0.297416176293 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179TAN5 314114.95000000 PA USD 339666.12000000 0.113059592374 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 5.00000000 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38141GXM1 180000.00000000 PA USD 176791.50000000 0.058845948266 Long DBT CORP US N 2 2026-12-09 Fixed 1.09300000 N N N N N N THE KROGER CO. 6CPEOKI6OYJ13Q6O7870 501044DM0 190000.00000000 PA USD 258339.77000000 0.085989703919 Long DBT CORP US N 2 2049-01-15 Fixed 5.40000000 N N N N N N GLP Capital, L.P. 2549005PXW31DRW8EC44 361841AP4 5000.00000000 PA USD 5377.65000000 0.001789978102 Long DBT CORP US N 2 2030-01-15 Fixed 4.00000000 N N N N N N HUMANA INC. 529900YLDW34GJAO4J06 444859BE1 75000.00000000 PA USD 96960.30000000 0.032273728079 Long DBT CORP US N 2 2044-10-01 Fixed 4.95000000 N N N N N N Gobierno de Chile 549300FLZTJM5YJF8D34 168863DN5 200000.00000000 PA USD 204614.00000000 0.068106808633 Long DBT NUSS CL N 2 2032-01-27 Fixed 2.55000000 N N N N N N CPTS MORTGAGE TRUST N/A 12654YAA7 300000.00000000 PA USD 320001.00000000 0.106513957351 Long ABS-MBS CORP US Y 2 2039-11-13 Fixed 2.86500000 N N N N N N PARK AEROSPACE HOLDINGS LIMITED 635400CPI3EOIFF6OC33 70014LAA8 100000.00000000 PA USD 104625.00000000 0.034824962384 Long DBT CORP KY Y 2 2022-08-15 Fixed 5.25000000 N N N N N N SLM STUDENT LOAN TRUST N/A 78445JAB3 240000.00000000 PA USD 240666.87000000 0.080107189437 Long ABS-MBS CORP US N 2 2083-10-25 Floating 2.42575000 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38141GYG3 450000.00000000 PA USD 448940.25000000 0.149432041281 Long DBT CORP US N 2 2027-09-10 Fixed 1.54200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ3J7 466074.26000000 PA USD 493310.32000000 0.164200844327 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.50000000 N N N N N N Estados Unidos Mexicanos 254900EGTWEU67VP6075 91087BAM2 425000.00000000 PA USD 416740.55000000 0.138714207672 Long DBT NUSS MX N 2 2031-05-24 Fixed 2.65900000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140Q9N25 466036.72000000 PA USD 504778.52000000 0.168018092916 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N CITIGROUP MORTGAGE LOAN TRUST INC N/A 17311LAA9 665769.08600000 PA USD 665268.83000000 0.221438107337 Long ABS-MBS CORP US N 2 2037-04-25 Variable 2.88722000 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 37045XBY1 375000.00000000 PA USD 384364.13000000 0.127937551915 Long DBT CORP US N 2 2022-06-30 Fixed 3.15000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B2TU6 508510.43000000 PA USD 530644.13000000 0.176627592513 Long ABS-MBS USGSE US N 2 2047-01-25 Fixed 3.50000000 N N N N N N Dreyfus Treasury Securities Cash Management; Institutional Shares N/A 261941108 3612234.13000000 NS USD 3612234.13000000 1.202350467866 Long STIV RF US N 1 N N N PT Indonesia Asahan Aluminium (Persero) 2549008P48EB9SN2OI80 74445PAC6 200000.00000000 PA USD 245000.00000000 0.081549493755 Long DBT CORP ID Y 2 2028-11-15 Fixed 6.53000000 N N N N N N TEACHERS INSURANCE AND ANNUITY ASSOCIATION OF AMERICA O06XD7BJ4EPXNABVFN69 878091BG1 565000.00000000 PA USD 589003.46000000 0.196052791767 Long DBT CORP US Y 2 2050-05-15 Fixed 3.30000000 N N N N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A2X8 450000.00000000 PA USD 451937.70000000 0.150429757730 Long DBT CORP US Y 2 2024-05-24 Floating 0.72405000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAN3 210000.00000000 PA USD 246487.50000000 0.082044615681 Long DBT CORP US N 2 2027-06-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179TLR4 434142.29000000 PA USD 457333.32000000 0.152225717238 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.00000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CS6 450000.00000000 PA USD 450045.00000000 0.149799762927 Long DBT CORP GB N 2 2025-05-24 Fixed 0.97600000 N N N N N N SL GREEN OPERATING PARTNERSHIP, L.P. 2K1OXW4LY7IS2U150Y32 78444FAF3 250000.00000000 PA USD 256880.00000000 0.085503812064 Long DBT CORP US N 2 2022-10-15 Fixed 3.25000000 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAB7 35000.00000000 PA USD 37843.75000000 0.012596484303 Long DBT CORP KY Y 2 2023-10-01 Fixed 5.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BTEH0 1322970.60000000 PA USD 1450455.22000000 0.482791383288 Long ABS-MBS USGSE US N 2 2053-04-15 Variable 3.25000000 N N N N N N HUDSON YARDS MORTGAGE TRUST N/A 44421GAA1 330000.00000000 PA USD 359693.40000000 0.119725774192 Long ABS-MBS CORP US Y 2 2037-06-10 Fixed 3.22800000 N N N N N N SLM STUDENT LOAN TRUST N/A 78444YAE5 1220000.00000000 PA USD 1257024.14000000 0.418406866347 Long ABS-MBS CORP US N 2 2073-07-25 Floating 2.02575000 N N N N N N NAVIENT STUDENT LOAN TRUST N/A 63940FAC1 965000.00000000 PA USD 1015057.94000000 0.337867188323 Long ABS-MBS CORP US Y 2 2065-06-25 Floating 1.59150000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SU3 3933000.00000000 PA USD 3756015.00000000 1.250208660356 Long DBT UST US N 2 2051-02-15 Fixed 1.87500000 N N N N N N SLM STUDENT LOAN TRUST N/A 78445RAA7 61656.96000000 PA USD 62592.96000000 0.020834384492 Long ABS-MBS CORP US Y 2 2045-01-25 Floating 0.84150000 N N N N N N MAUSER PACKAGING SOLUTIONS HOLDING COMPANY 549300DNGHXL0OMHW304 12429TAD6 25000.00000000 PA USD 25187.50000000 0.008383787240 Long DBT CORP US Y 2 2024-04-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FGVJ1 115478.91000000 PA USD 118578.51000000 0.039469459023 Long ABS-MBS USGSE US N 2 2048-04-15 Fixed 3.00000000 N N N N N N PARK AEROSPACE HOLDINGS LIMITED 635400CPI3EOIFF6OC33 70014LAB6 255000.00000000 PA USD 280500.00000000 0.093365848972 Long DBT CORP KY Y 2 2024-02-15 Fixed 5.50000000 N N N N N N HCA INC. L3CJ6J7LJ2DX62FTXD46 404119BN8 490000.00000000 PA USD 542062.50000000 0.180428254933 Long DBT CORP US N 2 2024-03-15 Fixed 5.00000000 N N N N N N CLECO POWER LLC TM1ZH54SJKLNHFCBFK92 185508AG3 400000.00000000 PA USD 538963.60000000 0.179396770336 Long DBT CORP US N 2 2040-12-01 Fixed 6.00000000 N N N N N N ALIMENTATION COUCHE-TARD INC. 549300OSW32RVX8CCZ87 01626PAH9 475000.00000000 PA USD 521312.50000000 0.173521512095 Long DBT CORP CA Y 2 2027-07-26 Fixed 3.55000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140Q83U7 658122.07000000 PA USD 714087.55000000 0.237687666120 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N Republica del Peru 254900STKLK2DBJJZ530 715638BU5 20000.00000000 PA USD 22373.38000000 0.007447093112 Long DBT NUSS PE N 2 2027-08-25 Fixed 4.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MABR9 1189202.82000000 PA USD 1310783.59000000 0.436300972193 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 3.50000000 N N N N N N IHS MARKIT LTD. 549300HLPTRASHS0E726 44962LAC1 104000.00000000 PA USD 115570.00000000 0.038468061197 Long DBT CORP BM Y 2 2026-03-01 Fixed 4.00000000 N N N N N N INTEL CORPORATION KNX4USFCNGPY45LOCE31 458140BM1 485000.00000000 PA USD 644410.77000000 0.214495396179 Long DBT CORP US N 2 2050-03-25 Fixed 4.75000000 N N N N N N Government National Mortgage Association 2 N/A 36179SSP3 882716.16000000 PA USD 934449.38000000 0.311036219914 Long ABS-MBS USGA US N 2 2046-12-20 Fixed 3.00000000 N N N N N N T-MOBILE USA, INC. 549300V2JRLO5DIFGE82 87264ABD6 205000.00000000 PA USD 226452.02000000 0.075375704452 Long DBT CORP US N 2 2027-04-15 Fixed 3.75000000 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650CZ1 740000.00000000 PA USD 958432.46000000 0.319019109843 Long DBT CORP US N 2 2048-03-25 Fixed 5.05000000 N N N N N N SPRINT SPECTRUM CO LLC N/A 85208NAA8 64750.00000000 PA USD 65125.55000000 0.021677369930 Long DBT CORP US Y 2 2023-03-20 Fixed 3.36000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GJQ3 625000.00000000 PA USD 630336.88000000 0.209810830446 Long DBT CORP US N 2 2027-03-11 Fixed 1.65800000 N N N N N N United States of America 254900HROIFWPRGM1V77 91282CCF6 15525000.00000000 PA USD 15442523.44000000 5.140122321782 Long DBT UST US N 2 2026-05-31 Fixed 0.75000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418A2J6 379067.96600000 PA USD 402476.26000000 0.133966266332 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 3.00000000 N N N N N N CENTENE CORPORATION 549300Z7JJ4TQSQGT333 15135BAY7 83000.00000000 PA USD 83830.00000000 0.027903241067 Long DBT CORP US N 2 2028-07-15 Fixed 2.45000000 N N N N N N PARK PLACE SECURITIES, INC. N/A 70069FDN4 1352078.18000000 PA USD 1305145.22000000 0.434424212115 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.89150000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418CMJ0 73983.27000000 PA USD 78010.73000000 0.025966267506 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38380Y2X2 363643.67000000 PA USD 379915.03000000 0.126456646394 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 3.50000000 N N N N N N Post Holdings, Inc. JM1I5YUAURL6DC8N1468 737446AM6 150000.00000000 PA USD 156937.50000000 0.052237443576 Long DBT CORP US Y 2 2027-03-01 Fixed 5.75000000 N N N N N N IHS MARKIT LTD. 549300HLPTRASHS0E726 44962LAA5 121000.00000000 PA USD 126596.25000000 0.042138204484 Long DBT CORP BM Y 2 2022-11-01 Fixed 5.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 91282CCB5 3375000.00000000 PA USD 3430898.44000000 1.141991962889 Long DBT UST US N 2 2031-05-15 Fixed 1.62500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418DUA8 1463196.33000000 PA USD 1493390.26000000 0.497082529314 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 2.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SW9 3531000.00000000 PA USD 3460380.00000000 1.151805049800 Long DBT UST US N 2 2041-02-15 Fixed 1.87500000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 03846JW71 200000.00000000 PA USD 219499.60000000 0.073061556161 Long DBT NUSS EG Y 2 2029-03-01 Fixed 7.60030000 N N N N N N T-MOBILE USA, INC. 549300V2JRLO5DIFGE82 87264ABU8 444000.00000000 PA USD 453994.44000000 0.151114354080 Long DBT CORP US N 2 2026-04-15 Fixed 2.62500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3136B2ZR6 173774.14000000 PA USD 180308.79000000 0.060016696098 Long ABS-MBS USGSE US N 2 2046-05-25 Fixed 3.50000000 N N N N N N Nationwide Building Society 549300XFX12G42QIKN82 63861VAA5 330000.00000000 PA USD 346551.48000000 0.115351419404 Long DBT CORP GB Y 2 2024-03-08 Fixed 3.76600000 N N N N N N JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 46647PCK0 1210000.00000000 PA USD 1211585.10000000 0.403282251210 Long DBT CORP US N 2 2025-06-23 Fixed 0.96900000 N N N N N N ONE BRYANT PARK TRUST N/A 68236JAA9 415000.00000000 PA USD 430724.35000000 0.143368786492 Long ABS-MBS CORP US Y 2 2049-09-13 Fixed 2.51641000 N N N N N N TRANSOCEAN PONTUS LIMITED N/A 89382PAA3 109475.00000000 PA USD 110296.06000000 0.036712603494 Long DBT CORP KY Y 2 2025-08-01 Fixed 6.12500000 N N N N N N T-MOBILE USA, INC. 549300V2JRLO5DIFGE82 87264ABR5 235000.00000000 PA USD 236488.96000000 0.078716550884 Long DBT CORP US N 2 2026-02-15 Fixed 2.25000000 N N N N N N ROCKIES EXPRESS PIPELINE LLC W2ZGZGZKY5GGNY6F3V51 77340RAR8 250000.00000000 PA USD 257500.00000000 0.085710182212 Long DBT CORP US Y 2 2029-07-15 Fixed 4.95000000 N N N N N N QWEST CORPORATION 549300R2L4N683OO1509 912920AK1 175000.00000000 PA USD 206769.33000000 0.068824221165 Long DBT CORP US N 2 2025-09-15 Fixed 7.25000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3140HXWW6 485000.00000000 PA USD 506009.76000000 0.168427917401 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 2.45500000 N N N N N N COMM MORTGAGE TRUST N/A 12635QBF6 863982.98000000 PA USD 924893.78000000 0.307855589944 Long ABS-MBS CORP US N 2 2048-10-10 Fixed 3.34900000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 00206RBH4 255000.00000000 PA USD 291196.23000000 0.096926143428 Long DBT CORP US N 2 2042-12-15 Fixed 4.30000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAL7 145000.00000000 PA USD 156895.66000000 0.052223516920 Long DBT CORP GB N 2 2025-07-09 Fixed 3.87000000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAL7 955000.00000000 PA USD 1095686.78000000 0.364704907034 Long DBT CORP US Y 2 2028-12-15 Fixed 4.37500000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2G7 200000.00000000 PA USD 211919.80000000 0.070538581251 Long DBT CORP US N 2 2030-10-30 Fixed 2.87900000 N N N N N N T-MOBILE USA, INC. 549300V2JRLO5DIFGE82 87264ABF1 235000.00000000 PA USD 261818.44000000 0.087147596889 Long DBT CORP US N 2 2030-04-15 Fixed 3.87500000 N N N N N N Government National Mortgage Association 2 N/A 36179TLS2 163562.25000000 PA USD 173414.61000000 0.057721933286 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.50000000 N N N N N N CABLE ONE, INC. 549300648QS85T0XSH18 12685JAC9 290000.00000000 PA USD 290725.00000000 0.096769292130 Long DBT CORP US Y 2 2030-11-15 Fixed 4.00000000 N N N N N N MKT MORTGAGE TRUST N/A 55316PAA5 395000.00000000 PA USD 413663.75000000 0.137690079173 Long ABS-MBS CORP US Y 2 2040-02-12 Variable 2.69400000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAQ6 240000.00000000 PA USD 301492.80000000 0.100353409023 Long DBT CORP US Y 2 2048-06-25 Fixed 4.87500000 N N N N N N RESIDENTIAL ACCREDIT LOANS INCORPORATED N/A 74922NAB5 942395.33000000 PA USD 922752.04000000 0.307142700913 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.45150000 N N N N N N WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES N/A 92922FXJ2 183093.14300000 PA USD 174226.55000000 0.057992191637 Long ABS-MBS CORP US N 2 2044-07-25 Floating 1.00500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJYT1 133928.14000000 PA USD 140592.03000000 0.046796770908 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAK9 415000.00000000 PA USD 422050.02000000 0.140481491716 Long DBT CORP GB N 2 2023-03-17 Fixed 2.85800000 N N N N N N SLM STUDENT LOAN TRUST N/A 78446WAC1 603556.58000000 PA USD 595710.39000000 0.198285227466 Long ABS-MBS CORP US N 2 2028-09-25 Floating 1.04150000 N N N N N N RAYMOND JAMES FINANCIAL, INC. RGUZHJ05YTITL6D76949 754730AF6 255000.00000000 PA USD 330614.39000000 0.110046678092 Long DBT CORP US N 2 2046-07-15 Fixed 4.95000000 N N N N N N WELLS FARGO MORTGAGE BACKED SECURITIES TRUST N/A 94984GAA5 300574.96400000 PA USD 272044.32000000 0.090551332959 Long ABS-MBS CORP US N 2 2036-09-25 Variable 2.77628000 N N N N N N MOLINA HEALTHCARE, INC. 549300NQQCEQ46YHZ591 60855RAK6 409000.00000000 PA USD 425360.00000000 0.141583235362 Long DBT CORP US Y 2 2030-11-15 Fixed 3.87500000 N N N N N N REPUBLICA DEL PARAGUAY 529900UXKJTJPCU0HK83 699149AK6 200000.00000000 PA USD 195500.00000000 0.065073167465 Long DBT NUSS PY Y 2 2033-01-29 Fixed 2.73900000 N N N N N N United States of America 254900HROIFWPRGM1V77 912796M22 8605000.00000000 PA USD 8603967.40000000 2.863874227581 Long DBT UST US N 2 2021-10-05 None 0.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F012486 3700000.00000000 PA USD 3738734.38000000 1.244456718263 Long ABS-MBS USGSE US N 2 2036-08-25 Fixed 1.50000000 N N N N N N SLM STUDENT LOAN TRUST N/A 78445CAD4 882589.50000000 PA USD 881972.90000000 0.293569157146 Long DBT CORP US N 2 2023-07-25 Floating 1.27575000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CL1 440000.00000000 PA USD 440986.48000000 0.146784588558 Long DBT CORP GB N 2 2028-09-22 Fixed 2.01300000 N N N N N N FARMERS EXCHANGE CAPITAL III N/A 30958QAA9 700000.00000000 PA USD 871107.30000000 0.289952487026 Long DBT CORP US Y 2 2054-10-15 Fixed 5.45400000 N N N N N N TCI-FLATIRON CLO LTD N/A 87230AAL0 750000.00000000 PA USD 750207.75000000 0.249710458056 Long ABS-MBS CORP US Y 2 2032-01-17 Floating 1.33975000 N N N N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST N/A 05491YAA8 515000.00000000 PA USD 590962.50000000 0.196704868177 Long ABS-MBS CORP US Y 2 2038-08-10 Variable 4.22711000 N N N N N N CAESARS ENTERTAINMENT, INC. 549300FA4CTCW903Y781 28470RAH5 87000.00000000 PA USD 92220.00000000 0.030695895159 Long DBT CORP US Y 2 2025-07-01 Fixed 6.25000000 N N N N N N GE CAPITAL FUNDING, LLC 549300XAGH9TOLX5XM67 36166NAJ2 275000.00000000 PA USD 319883.30000000 0.106474780309 Long DBT CORP US N 2 2030-05-15 Fixed 4.40000000 N N N N N N PROGRESS RESIDENTIAL MASTER TRUST N/A 74333NAA0 514013.78000000 PA USD 522238.00000000 0.173829569468 Long ABS-MBS CORP US Y 2 2036-05-17 Fixed 3.33300000 N N N N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YCY3 428000.00000000 PA USD 517389.51000000 0.172215724958 Long DBT CORP US N 2 2035-03-15 Fixed 4.55000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912810SX7 13800000.00000000 PA USD 14744437.50000000 4.907760872784 Long DBT UST US N 2 2051-05-15 Fixed 2.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJYH7 848915.40000000 PA USD 903913.15000000 0.300872080739 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.50000000 N N N N N N AMCOR FINANCE (USA) INC. 549300ZMT7FVT8R77U18 02343UAG0 600000.00000000 PA USD 657370.20000000 0.218809008244 Long DBT CORP US N 2 2026-04-28 Fixed 3.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XCR31 1111723.08000000 PA USD 1206251.86000000 0.401507055201 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 37045XCU8 155000.00000000 PA USD 159958.45000000 0.053242982119 Long DBT CORP US N 2 2022-07-08 Fixed 3.55000000 N N N N N N Emirate of Abu Dhabi 213800FER4348CINTA77 N/A 400000.00000000 PA USD 418092.00000000 0.139164044665 Long DBT AE N 2 2029-09-30 Fixed 2.50000000 N N N N N N RBS COMMERCIAL FUNDING INC TRUST N/A 74932QAA8 560000.00000000 PA USD 596876.00000000 0.198673206672 Long ABS-MBS CORP US Y 2 2032-01-13 Variable 3.96139000 N N N N N N LOS ANGELES CALIF UNI SCH DIST N/A 544646XY3 700000.00000000 PA USD 893067.00000000 0.297261884651 Long DBT MUN US N 2 2029-07-01 Fixed 5.75500000 N N N N N N United States of America 254900HROIFWPRGM1V77 91282CBW0 9855000.00000000 PA USD 9808804.69000000 3.264910435977 Long DBT UST US N 2 2026-04-30 Fixed 0.75000000 N N N N N N GFL ENVIRONMENTAL INC. 549300FYK4MBXWIVZU26 36168QAN4 150000.00000000 PA USD 155250.00000000 0.051675750634 Long DBT CORP CA Y 2 2029-06-15 Fixed 4.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ4A5 435167.32000000 PA USD 460597.68000000 0.153312276036 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 3.50000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RAZ2 700000.00000000 PA USD 866250.00000000 0.288335710063 Long DBT CORP US N 2 2043-10-01 Fixed 5.95000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJY61 742472.33000000 PA USD 779416.25000000 0.259432655559 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N AIR LEASE CORPORATION 5493004NW4M4P8TMMK63 00912XBE3 655000.00000000 PA USD 665797.02000000 0.221613918060 Long DBT CORP US N 2 2022-01-15 Fixed 3.50000000 N N N N N N GE CAPITAL INTERNATIONAL FUNDING COMPANY UNLIMITED COMPANY 549300G6UZOB126GBY72 36164QNA2 1191000.00000000 PA USD 1428095.94000000 0.475348983432 Long DBT CORP IE N 2 2035-11-15 Fixed 4.41800000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAF0 264000.00000000 PA USD 305580.00000000 0.101713854292 Long DBT CORP US N 2 2028-06-15 Fixed 4.95000000 N N N N N N BAYER US FINANCE II LLC 529900XWNEXYNJ3X6T40 07274NAJ2 90000.00000000 PA USD 100288.53000000 0.033381546330 Long DBT CORP US Y 2 2025-12-15 Fixed 4.25000000 N N N N N N CALI MORTGAGE TRUST N/A 129890AA7 355000.00000000 PA USD 404749.70000000 0.134722992378 Long ABS-MBS CORP US Y 2 2039-03-10 Fixed 3.95700000 N N N N N N THE BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 097023DD4 605000.00000000 PA USD 607236.69000000 0.202121814935 Long DBT CORP US N 2 2023-02-04 Fixed 1.16700000 N N N N N N PETRONAS Capital Limited 549300G7YFX3540OYR85 716743AP4 200000.00000000 PA USD 219005.20000000 0.072896992611 Long DBT CORP MY Y 2 2030-04-21 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 91282CCD1 38320000.00000000 PA USD 38236175.00000000 12.72710495669 Long DBT UST US N 2 2023-05-31 Fixed 0.12500000 N N N N N N Government National Mortgage Association 2 N/A 36179SB89 77969.46850000 PA USD 82602.45000000 0.027494644818 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.50000000 N N N N N N HUDSON YARDS MORTGAGE TRUST N/A 44421MAA8 325000.00000000 PA USD 350363.00000000 0.116620103186 Long ABS-MBS CORP US Y 2 2041-12-10 Variable 3.04089000 N N N N N N SPRINT CORPORATION 549300ZTTY7CXOLJ6539 85207UAF2 27000.00000000 PA USD 30645.00000000 0.010200343820 Long DBT CORP US N 2 2023-09-15 Fixed 7.87500000 N N N N N N CHANGE HEALTHCARE HOLDINGS, LLC 549300GHXFJ3EKF50583 15911NAA3 25000.00000000 PA USD 25375.00000000 0.008446197567 Long DBT CORP US Y 2 2025-03-01 Fixed 5.75000000 N N N N N N GLP Capital, L.P. 2549005PXW31DRW8EC44 361841AJ8 205000.00000000 PA USD 230463.26000000 0.076710866049 Long DBT CORP US N 2 2025-06-01 Fixed 5.25000000 N N N N N N GLP Capital, L.P. 2549005PXW31DRW8EC44 361841AK5 105000.00000000 PA USD 125015.31000000 0.041611980580 Long DBT CORP US N 2 2028-06-01 Fixed 5.75000000 N N N N N N JERSEY CENTRAL POWER & LIGHT COMPANY 549300W9UGH9ZPLNPF79 476556CP8 750000.00000000 PA USD 985599.75000000 0.328061880236 Long DBT CORP US N 2 2036-05-15 Fixed 6.40000000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397YL1 455000.00000000 PA USD 460677.95000000 0.153338994313 Long DBT CORP US N 2 2022-03-28 Fixed 3.33900000 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST N/A 46651EAA2 325000.00000000 PA USD 358572.50000000 0.119352676937 Long ABS-MBS CORP US Y 2 2039-06-05 Fixed 3.39700000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 00206RMG4 1115000.00000000 PA USD 1158167.23000000 0.385501842002 Long DBT CORP US Y 2 2057-12-01 Fixed 3.80000000 N N N N N N INTELSAT JACKSON HOLDINGS S.A. 8XJ8KF85PBKK1TLMFN29 45824TAY1 540000.00000000 PA USD 313200.00000000 0.104250209976 Long DBT CORP LU Y 2 2025-07-15 Fixed 9.75000000 Y N N N N N United States of America N/A N/A 2.00000000 NC USD 16622.01000000 0.005532720411 N/A DIR US N 1 XCBT N/A Long United States of America US Ultra T-Bond Futures (Composite) Sep 2021 2021-09-21 368752.99000000 USD 16622.01000000 N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AQ1 445000.00000000 PA USD 455249.24000000 0.151532020630 Long DBT CORP CH Y 2 2026-06-05 Fixed 2.19300000 N N N N N N WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES N/A 92922FR75 1132506.31000000 PA USD 1114086.55000000 0.370829363886 Long ABS-MBS CORP US N 2 2045-07-25 Floating 0.67150000 N N N N N N Kingdom of Saudi Arabia 635400FMICXSM3SI3H65 N/A 200000.00000000 PA USD 215060.00000000 0.071583812763 Long DBT NUSS SA N 2 2030-10-22 Fixed 3.25000000 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GJS9 620000.00000000 PA USD 622911.52000000 0.207339261674 Long DBT CORP US N 2 2027-07-22 Fixed 1.73400000 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST N/A 41162CAA9 1251679.14700000 PA USD 1063285.41000000 0.353919946542 Long ABS-MBS CORP US N 2 2036-11-19 Floating 0.29338000 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAJ4 390000.00000000 PA USD 426267.66000000 0.141885354601 Long DBT CORP GB N 2 2024-11-15 Fixed 4.79600000 N N N N N N USA COMPRESSION PARTNERS, LP N/A 91740PAF5 81000.00000000 PA USD 86062.50000000 0.028646340025 Long DBT CORP US N 2 2027-09-01 Fixed 6.87500000 N N N N N N CommonSpirit Health 4SXHN5XW08IBO0UG2V58 20268JAF0 290000.00000000 PA USD 300536.86000000 0.100035219542 Long DBT CORP US N 2 2030-10-01 Fixed 2.78200000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AU2 280000.00000000 PA USD 288090.32000000 0.095892325517 Long DBT CORP CH Y 2 2032-05-14 Fixed 3.09100000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 N/A 200000.00000000 PA USD 226108.00000000 0.075261195649 Long DBT NUSS QA N 2 2030-04-16 Fixed 3.75000000 N N N N N N T-MOBILE USA, INC. 549300V2JRLO5DIFGE82 87264AAX3 395000.00000000 PA USD 455716.64000000 0.151687597093 Long DBT CORP US N 2 2040-04-15 Fixed 4.37500000 N N N N N N GLP Capital, L.P. 2549005PXW31DRW8EC44 361841AH2 440000.00000000 PA USD 506614.24000000 0.168629121637 Long DBT CORP US N 2 2026-04-15 Fixed 5.37500000 N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397XA6 95000.00000000 PA USD 95900.22000000 0.031920875069 Long DBT CORP US N 2 2022-01-09 Fixed 3.21900000 N N N N N N GMACM MORTGAGE LOAN TRUST N/A 36185MDN9 546035.29400000 PA USD 477113.95000000 0.158809800351 Long ABS-MBS CORP US N 2 2036-04-19 Variable 3.05188000 N N N N N N Government National Mortgage Association 2 N/A 36179SYV3 116633.96000000 PA USD 130232.65000000 0.043348598685 Long ABS-MBS USGA US N 2 2047-03-20 Fixed 5.00000000 N N N N N N United States of America N/A N/A -11.00000000 NC USD 4361.14000000 0.001451627588 N/A DIR US N 1 XCBT N/A Short United States of America US 2-Year Note (CBT) Consolidated Sep 2021 2021-09-30 -2427884.58000000 USD 4361.14000000 N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418DTJ1 1176040.05000000 PA USD 1198333.31000000 0.398871325635 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 2.00000000 N N N N N N 1011778 B.C. UNLIMITED LIABILITY COMPANY 549300RHSHNRWI5LLA86 68245XAP4 150000.00000000 PA USD 148125.00000000 0.049304158214 Long DBT CORP CA N 2 2029-02-15 Fixed 3.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 912796D48 11915000.00000000 PA USD 11914270.21000000 3.965725322815 Long DBT UST US N 2 2021-08-19 None 0.00000000 N N N N N N AETNA INC. 549300QKBENKLBXQ8968 00817YAQ1 200000.00000000 PA USD 215929.00000000 0.071873063824 Long DBT CORP US N 2 2024-11-15 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 01F020489 5075000.00000000 PA USD 5229232.40000000 1.740576550812 Long ABS-MBS USGSE US N 2 2036-08-25 Fixed 2.00000000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AM0 145000.00000000 PA USD 150685.16000000 0.050156320467 Long DBT CORP CH Y 2 2025-09-11 Floating 2.59300000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 00206RCQ3 125000.00000000 PA USD 151715.25000000 0.050499191152 Long DBT CORP US N 2 2046-05-15 Fixed 4.75000000 N N N N N N INTERNATIONAL FLAVORS & FRAGRANCES INC. BZLRL03D3GPGMOGFO832 459506AL5 120000.00000000 PA USD 154523.04000000 0.051433778308 Long DBT CORP US N 2 2048-09-26 Fixed 5.00000000 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 37045XCP9 575000.00000000 PA USD 582188.65000000 0.193784447663 Long DBT CORP US N 2 2021-11-06 Fixed 4.20000000 N N N N N N SANTANDER UK GROUP HOLDINGS PLC 549300F5XIFGNNW4CF72 80281LAN5 590000.00000000 PA USD 591200.06000000 0.196783941229 Long DBT CORP GB N 2 2025-03-15 Fixed 1.08900000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CM9 600000.00000000 PA USD 598413.60000000 0.199185004637 Long DBT CORP GB N 2 2027-05-24 Fixed 1.58900000 N N N N N N THE WALT DISNEY COMPANY 549300GZKULIZ0WOW665 254687FZ4 285000.00000000 PA USD 323091.39000000 0.107542609351 Long DBT CORP US N 2 2051-01-13 Fixed 3.60000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FKHV1 194372.34000000 PA USD 199983.54000000 0.066565536515 Long ABS-MBS USGSE US N 2 2047-06-15 Fixed 4.00000000 N N N N N N HCA INC. L3CJ6J7LJ2DX62FTXD46 404119BZ1 145000.00000000 PA USD 185600.00000000 0.061777902208 Long DBT CORP US N 2 2049-06-15 Fixed 5.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XCRY3 834669.65000000 PA USD 907395.70000000 0.302031265186 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 3.50000000 N N N N N N ROCKFORD TOWER CLO N/A 77341KAA9 800000.00000000 PA USD 801188.80000000 0.266679759356 Long ABS-MBS CORP US Y 2 2034-07-20 Floating 1.34963000 N N N N N N SEALED AIR CORPORATION Q0M0CZB4YN6JZ65WXI09 81211KAY6 25000.00000000 PA USD 26500.00000000 0.008820659528 Long DBT CORP US Y 2 2027-12-01 Fixed 4.00000000 N N N N N N GENERAL MOTORS FINANCIAL COMPANY, INC. 5493008B6JBRUJ90QL97 37045XAQ9 275000.00000000 PA USD 277408.18000000 0.092336720990 Long DBT CORP US N 2 2021-09-25 Fixed 4.37500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418DY71 248027.85000000 PA USD 253634.98000000 0.084423690684 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ5D8 367798.68000000 PA USD 396434.28000000 0.131955162617 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2K8 270000.00000000 PA USD 280048.86000000 0.093215684733 Long DBT CORP US N 2 2026-02-11 Fixed 2.16400000 N N N N N N United States of America 254900HROIFWPRGM1V77 912796K32 935000.00000000 PA USD 934943.90000000 0.311200823406 Long DBT UST US N 2 2021-08-24 None 0.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418DGV8 338175.25000000 PA USD 345879.48000000 0.115127740793 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.00000000 N N N N N N RECETTE CLO, LTD N/A 75620TAW8 800000.00000000 PA USD 800716.80000000 0.266522651760 Long ABS-MBS CORP US Y 2 2033-01-20 Floating 1.26825000 N N N N N N SLM STUDENT LOAN TRUST N/A 78442GHK5 524218.59000000 PA USD 499581.56000000 0.166288258397 Long ABS-MBS CORP US N 2 2039-09-15 Floating 0.68888000 N N N N N N Government National Mortgage Association 2 N/A 36179U3S9 358992.29000000 PA USD 370081.64000000 0.123183552612 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.00000000 N N N N N N WACHOVIA STUDENT LOAN TRUST N/A 92978JAF0 1482852.54000000 PA USD 1451422.23000000 0.483113257476 Long ABS-MBS CORP US Y 2 2040-04-25 Floating 0.34575000 N N N N N N UNIV CALIF REGTS MED CTR POOLED REV N/A 913366KC3 570000.00000000 PA USD 611262.30000000 0.203461759660 Long DBT MUN US N 2 2060-05-15 Fixed 3.25600000 N N N N N N VERIZON COMMUNICATIONS INC. 2S72QS2UO2OESLG6Y829 92343VGH1 150000.00000000 PA USD 152852.55000000 0.050877747231 Long DBT CORP US N 2 2028-03-22 Fixed 2.10000000 N N N N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST N/A 32051GV44 437821.02000000 PA USD 360738.98000000 0.120073800803 Long ABS-MBS CORP US N 2 2036-04-25 Variable 2.38296000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZM8 1150000.00000000 PA USD 1174461.65000000 0.390925522418 Long DBT CORP US N 2 2022-01-07 Fixed 5.59600000 N N N N N N BA MORTGAGE SECURITIES INCORPORATED N/A 05949CCB0 202431.78800000 PA USD 200575.17000000 0.066762463564 Long ABS-MBS CORP US N 2 2035-07-25 Variable 2.98189000 N N N N N N CHARTER COMMUNICATIONS OPERATING, LLC 549300TPZNMN50BJ3745 161175BN3 499000.00000000 PA USD 634684.59000000 0.211257987791 Long DBT CORP US N 2 2048-04-01 Fixed 5.75000000 N N N N N N ANTERO RESOURCES CORPORATION APVBKPOULHUX7YZLKU17 03674XAN6 40000.00000000 PA USD 45400.00000000 0.015111620475 Long DBT CORP US Y 2 2026-07-15 Fixed 8.37500000 N N N N N N United States of America 254900HROIFWPRGM1V77 9127964B2 4030000.00000000 PA USD 4029764.93000000 1.341327714263 Long DBT UST US N 2 2021-08-12 None 0.00000000 N N N N N N Republica Federativa do Brasil 254900ZFY40OYEADAP90 105756CC2 200000.00000000 PA USD 201967.40000000 0.067225874388 Long DBT NUSS BR N 2 2030-06-12 Fixed 3.87500000 N N N N N N CHARTER COMMUNICATIONS OPERATING, LLC 549300TPZNMN50BJ3745 161175BT0 35000.00000000 PA USD 40087.50000000 0.013343327881 Long DBT CORP US N 2 2050-03-01 Fixed 4.80000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCC4 630000.00000000 PA USD 557718.21000000 0.185639337484 Long DBT CORP MX N 2 2047-09-21 Fixed 6.75000000 N N N N N N Government National Mortgage Association 2 N/A 36179TG58 388757.90000000 PA USD 415938.75000000 0.138447324472 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 4.00000000 N N N N N N DIAMOND SPORTS GROUP, LLC 5493002K6DHWNZH8YA34 25277LAA4 465000.00000000 PA USD 301087.50000000 0.100218502861 Long DBT CORP US Y 2 2026-08-15 Fixed 5.37500000 N N N N N N AT&T INC. 549300Z40J86GGSTL398 00206RMF6 287000.00000000 PA USD 283905.85000000 0.094499503435 Long DBT CORP US Y 2 2033-12-01 Fixed 2.55000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MFWR5 670973.34000000 PA USD 722372.62000000 0.240445393729 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 3.50000000 N N N N N N GRAPHIC PACKAGING INTERNATIONAL, LLC SO75N4VY5NXGQSK8YQ65 38869AAA5 110000.00000000 PA USD 119075.00000000 0.039634718240 Long DBT CORP US Y 2 2027-07-15 Fixed 4.75000000 N N N N N N Government National Mortgage Association 2 N/A 36179TNS0 128393.90000000 PA USD 137370.94000000 0.045724614749 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJYU8 233310.05000000 PA USD 248425.43000000 0.082689665520 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418AHY7 36451.93000000 PA USD 39354.30000000 0.013099278539 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.00000000 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650CM0 400000.00000000 PA USD 488729.20000000 0.162675995279 Long DBT CORP US N 2 2035-07-20 Fixed 4.87500000 N N N N N N GOLDENTREE LOAN OPPORTUNITIES LIMITED N/A 38123HAN4 850000.00000000 PA USD 850196.06000000 0.282992074635 Long ABS-MBS CORP US Y 2 2029-10-29 Floating 1.28713000 N N N N N N United States of America 254900HROIFWPRGM1V77 91282CBX8 10720000.00000000 PA USD 10701575.00000000 3.562073565855 Long DBT UST US N 2 2023-04-30 Fixed 0.12500000 N N N N N N CITIGROUP INC. 6SHGI4ZSSLCXXQSBB395 172967NA5 450000.00000000 PA USD 448297.20000000 0.149217998824 Long DBT CORP US N 2 2027-06-09 Fixed 1.46200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XCR80 1107465.38000000 PA USD 1216953.98000000 0.405069310173 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179SLS4 169675.58000000 PA USD 180095.40000000 0.059945668153 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179TAK1 136228.07000000 PA USD 143662.85000000 0.047818908934 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 2 N/A 36179SUV7 678926.78000000 PA USD 722371.99000000 0.240445184030 Long ABS-MBS USGA US N 2 2047-01-20 Fixed 3.50000000 N N N N N N Kingdom of Saudi Arabia 635400FMICXSM3SI3H65 N/A 200000.00000000 PA USD 221066.00000000 0.073582940353 Long DBT NUSS SA N 2 2028-03-04 Fixed 3.62500000 N N N N N N Joint Stock Company National Company KazMunayGas 2138001H1M69RFJCSH88 N/A 200000.00000000 PA USD 239000.00000000 0.079552363296 Long DBT CORP KZ N 2 2030-04-24 Fixed 5.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJ3A6 390814.44000000 PA USD 414360.28000000 0.137921922719 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N OI European Group B.V. 72450053F5WRDY8CDZ66 67777LAC7 29000.00000000 PA USD 29833.75000000 0.009930315140 Long DBT CORP NL Y 2 2023-03-15 Fixed 4.00000000 N N N N N N T-MOBILE USA, INC. 549300V2JRLO5DIFGE82 87264ACB9 337000.00000000 PA USD 339742.84000000 0.113085129016 Long DBT CORP US N 2 2031-02-15 Fixed 2.55000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAP8 450000.00000000 PA USD 449192.70000000 0.149516070545 Long DBT CORP GB N 2 2027-05-11 Fixed 1.62700000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138WK4Q5 213407.19000000 PA USD 227541.55000000 0.075738360044 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N AMERICAN CAMPUS COMMUNITIES OPERATING PARTNERSHIP LP RDKVCX5HITZ2GPIR7153 024836AD0 590000.00000000 PA USD 642331.82000000 0.213803407118 Long DBT CORP US N 2 2027-11-15 Fixed 3.62500000 N N N N N N NOMURA ASSET SECURITIES CORPORATION N/A 65535VMG0 333043.57300000 PA USD 335082.40000000 0.111533877903 Long ABS-MBS CORP US N 2 2035-07-25 Variable 2.77497000 N N N N N N OCCIDENTAL PETROLEUM CORPORATION IM7X0T3ECJW4C1T7ON55 674599DK8 200000.00000000 PA USD 191250.00000000 0.063658533390 Long DBT CORP US N 2 2044-07-15 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJYY0 665542.23000000 PA USD 698658.09000000 0.232551892030 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418CS47 51986.80000000 PA USD 55098.99000000 0.018339978534 Long ABS-MBS USGSE US N 2 2048-01-01 Fixed 3.50000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 706451BG5 365000.00000000 PA USD 353686.10000000 0.117726213891 Long DBT CORP MX N 2 2035-06-15 Fixed 6.62500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 3138ERDL1 381225.81000000 PA USD 416253.38000000 0.138552050665 Long ABS-MBS USGSE US N 2 2046-02-01 Fixed 4.50000000 N N N N N N SLC STUDENT LOAN TRUST N/A 78444LAD5 775189.15000000 PA USD 791323.09000000 0.263395907699 Long ABS-MBS CORP US N 2 2032-12-15 Floating 1.71888000 N N N N N N TENCENT HOLDINGS LIMITED 254900N4SLUMW4XUYY11 88032WBB1 295000.00000000 PA USD 315789.24000000 0.105112051654 Long DBT CORP KY Y 2 2041-04-22 Fixed 3.68000000 N N N N N N HCA INC. L3CJ6J7LJ2DX62FTXD46 404119BQ1 93000.00000000 PA USD 106485.00000000 0.035444072826 Long DBT CORP US N 2 2025-04-15 Fixed 5.25000000 N N N N N N NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST N/A 63875DAA9 320000.00000000 PA USD 334717.63000000 0.111412462357 Long ABS-MBS CORP US Y 2 2025-01-15 Fixed 2.96600000 N N N N N N PARK AVENUE INSTITUTIONAL ADVISERS CLO LTD N/A 70015QAA6 750000.00000000 PA USD 749566.50000000 0.249497014738 Long ABS-MBS CORP US Y 2 2034-01-20 Floating 1.60900000 N N N N N N VIRGIN MEDIA SECURED FINANCE PLC 213800X3RLP4NOTPY579 92769XAP0 290000.00000000 PA USD 311750.00000000 0.103767570115 Long DBT CORP GB Y 2 2029-05-15 Fixed 5.50000000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31418CNE0 14340.26000000 PA USD 15375.91000000 0.005117949700 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4.00000000 N N N N N N Government National Mortgage Association 2 N/A 36179TLT0 269696.92000000 PA USD 288553.58000000 0.096046523960 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 4.00000000 N N N N N N MORTGAGEIT TRUST N/A 61915RAC0 251399.27000000 PA USD 249224.67000000 0.082955696611 Long ABS-MBS CORP US N 2 2035-05-25 Variable 1.74150000 N N N N N N B.A.T CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DBF1 615000.00000000 PA USD 646839.78000000 0.215303904489 Long DBT CORP US N 2 2047-08-15 Fixed 4.54000000 N N N N N N Government National Mortgage Association 2 N/A 36179UCB6 236087.65000000 PA USD 251623.20000000 0.083754059498 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 4.00000000 N N N N N N ANHEUSER-BUSCH COMPANIES, LLC 5493002J2SVENP0PVK27 03522AAJ9 710000.00000000 PA USD 894960.68000000 0.297892205652 Long DBT CORP US N 2 2046-02-01 Fixed 4.90000000 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XCA1 440000.00000000 PA USD 478634.64000000 0.159315969737 Long DBT CORP US N 2 2051-03-25 Fixed 3.95000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XCSA4 4269.30000000 PA USD 4665.80000000 0.001553035216 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.00000000 N N N N N N IHS MARKIT LTD. 549300HLPTRASHS0E726 44962LAF4 295000.00000000 PA USD 347731.25000000 0.115744111838 Long DBT CORP BM N 2 2028-08-01 Fixed 4.75000000 N N N N N N CSC HOLDINGS, LLC 3HG2WD2W22M120IUNG49 126307AS6 30000.00000000 PA USD 31725.00000000 0.010559827303 Long DBT CORP US Y 2 2028-02-01 Fixed 5.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MMUS0 272077.51000000 PA USD 287227.72000000 0.095605204728 Long ABS-MBS USGSE US N 2 2031-03-01 Fixed 3.00000000 N N N N N N DC OFFICE TRUST N/A 23312BAA8 325000.00000000 PA USD 347509.50000000 0.115670301225 Long ABS-MBS CORP US Y 2 2045-09-15 Fixed 2.96500000 N N N N N N NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV N/A 64971XUX4 145000.00000000 PA USD 147431.65000000 0.049073373146 Long DBT MUN US N 2 2032-11-01 Fixed 2.40000000 N N N N N N THE GOLDMAN SACHS GROUP, INC. 784F5XWPLTWKTBV3E584 38141GYA6 585000.00000000 PA USD 581181.71000000 0.193449282572 Long DBT CORP US N 2 2027-03-09 Fixed 1.43100000 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAA1 410000.00000000 PA USD 447929.10000000 0.149095474870 Long DBT CORP GB Y 2 2023-11-07 Fixed 5.00000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBF8 90000.00000000 PA USD 106983.09000000 0.035609864611 Long DBT CORP US N 2 2040-03-19 Fixed 4.22700000 N N N N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YAW9 35000.00000000 PA USD 42434.35000000 0.014124488817 Long DBT CORP US N 2 2046-05-14 Fixed 4.45000000 N N N N N N United States of America 254900HROIFWPRGM1V77 91282CCK5 8375000.00000000 PA USD 8354062.50000000 2.780692112960 Long DBT UST US N 2 2023-06-30 Fixed 0.12500000 N N N N N N B.A.T CAPITAL CORPORATION 2138005GYEXN7XRHFA84 05526DBS3 20000.00000000 PA USD 19681.24000000 0.006551000646 Long DBT CORP US N 2 2031-03-25 Fixed 2.72600000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2A0 410000.00000000 PA USD 450929.48000000 0.150094166585 Long DBT CORP US N 2 2028-05-22 Floating 3.58400000 N N N N N N FIRST HORIZON MORTGAGE PASS-THROUGH TRUST N/A 32051GQL2 238010.89900000 PA USD 195209.37000000 0.064976429795 Long ABS-MBS CORP US N 2 2035-08-25 Variable 2.86056000 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAH4 345000.00000000 PA USD 354056.25000000 0.117849420197 Long DBT CORP KY Y 2 2025-02-15 Fixed 2.87500000 N N N N N N TRICON AMERICAN HOMES TRUST N/A 89613DAA1 870406.88000000 PA USD 873505.53000000 0.290750750057 Long ABS-MBS CORP US Y 2 2034-09-17 Fixed 2.71600000 N N N N N N ABBVIE INC. FR5LCKFTG8054YNNRU85 00287YCA5 145000.00000000 PA USD 167358.28000000 0.055706053101 Long DBT CORP US N 2 2039-11-21 Fixed 4.05000000 N N N N N N ORACLE CORPORATION 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 275000.00000000 PA USD 285953.53000000 0.095181084118 Long DBT CORP US N 2 2031-03-25 Fixed 2.87500000 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZH9 255000.00000000 PA USD 256911.48000000 0.085514290342 Long DBT CORP US N 2 2021-10-12 Fixed 3.81300000 N N N N N N CIGNA CORPORATION 549300VIWYMSIGT1U456 125523AG5 1300000.00000000 PA USD 1462810.70000000 0.486903967530 Long DBT CORP US N 2 2025-11-15 Fixed 4.12500000 N N N N N N Republica de Colombia 549300MHDRBVRF6B9117 195325DR3 400000.00000000 PA USD 391962.40000000 0.130466674657 Long DBT NUSS CO N 2 2030-01-30 Fixed 3.00000000 N N N N N N CYRUSONE LP 549300TDXOX1X4TWIB58 23283PAT1 295000.00000000 PA USD 281665.71000000 0.093753861464 Long DBT CORP US N 2 2030-11-01 Fixed 2.15000000 N N N N N N SLM STUDENT LOAN TRUST N/A 78444EAD1 571227.88000000 PA USD 559447.34000000 0.186214887182 Long ABS-MBS CORP US N 2 2022-01-25 Floating 0.50575000 N N N N N N Appalachian Power Company 3SCHO1ABYYIG382BEI70 037735BZ9 500000.00000000 PA USD 640916.50000000 0.213332310671 Long DBT CORP US N 2 2033-05-15 Fixed 5.95000000 N N N N N N 2021-07-30 Allianz Variable Insurance Products Trust Bashir C. Asad Bashir C. Asad Treasurer